On q-optimal martingale measures in exponential Lévy models
On q-optimal martingale measures in exponential Lévy models
复制标题
指数 Lévy 模型中的 q 最优鞅测度
DOI：
10.1007/s00780-008-0067-7
复制
发表时间：
2008
影响因子：
1.7
通讯作者：
Christina R. Niethammer
中科院分区：
文献类型：
--
作者：
Christian Bender;Christina R. Niethammer
给出了指数Lévy模型中q-最优符号鞅测度和q-最优绝对连续鞅测度的一个充分条件.结果发现，在一维情形下，q-最优等价鞅测度仅在向上跳的尾部非常轻的情况下才可能存在。此外，我们还分别证明了q-最优符号，绝对连续的鞅测度到最小熵鞅测度asq趋近于1。最后，投资组合优化的一些影响进行了讨论。
We give a sufficient condition to identify theq-optimal signed and theq-optimal absolutely continuous martingale measures in exponential Lévy models. As a consequence, we find that in the one-dimensional case, theq-optimal equivalent martingale measures may exist only if the tails for upward jumps are extraordinarily light. Moreover, we derive the convergence ofq-optimal signed, resp. absolutely continuous, martingale measures to the minimal entropy martingale measure asqapproaches one. Finally, some implications for portfolio optimization are discussed.